The construction and estimation of continuous time models and discrete approximations in econometrics

DOI10.1016/0304-4076(77)90014-8zbMath0373.62068OpenAlexW2064926012MaRDI QIDQ1244777

Peter M. Robinson

Publication date: 1977

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(77)90014-8

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (12)

SPECTRAL FINANCIAL ECONOMETRICS ⋮ ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS ⋮ ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ Spatial long memory ⋮ Sampling, Embedding and Inference for CARMA Processes ⋮ Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes ⋮ Estimation of semiparametric locally stationary diffusion models ⋮ ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL ⋮ Discrete time representation of stationary and non-stationary continuous time systems ⋮ THE EXACT DISCRETE MODEL OF A THIRD-ORDER SYSTEM OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH OBSERVABLE STOCHASTIC TRENDS ⋮ The estimation of systems of joint differential-difference equations ⋮ High-frequency sampling and kernel estimation for continuous-time moving average processes

Cites Work

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• Discrete Approximations to Continuous Time Distributed Lags in Econometrics
• The Role of Approximate Prior Restrictions in Distributed Lag Estimation
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• Econometric Estimation of Stochastic Differential Equation Systems
• The asymptotic theory of linear time-series models
• The Structural Estimation of a Stochastic Differential Equation System

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